A few insights into cliquet options

Tristan Guillaume ()
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Tristan Guillaume: THEMA - Théorie économique, modélisation et applications - UCP - Université de Cergy Pontoise - Université Paris-Seine - CNRS - Centre National de la Recherche Scientifique

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Abstract: This paper deals with a subset of lookback options known as cliquet options. The latter lock in the best underlying asset price over a number of prespecified dates during the option life. The specific uses of these contracts are analyzed, as well as two different hedging techniques. Closed form valuation formulae are provided under standard assumptions. They are easy to implement, very efficient and accurate compared to Monte Carlo simulation approximations.

Keywords: Cliquet option; Lookback option; Option valuation; Option hedging; Numerical dimension (search for similar items in EconPapers)
Date: 2012
Note: View the original document on HAL open archive server: https://hal.science/hal-00924287
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Published in International Journal of Business, 2012, 17 (2), pp.163-180

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00924287

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